Blar i Scientific articles på tidsskrift "Journal of Finance"
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An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
(Journal article; Peer reviewed, 2019)The 30‐year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for ... -
Consumption Fluctuations and Expected Returns
(Journal article; Peer reviewed, 2019)This paper introduces a novel consumption‐based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) ...